Central limit theorem for a Stratonovich integral with Malliavin calculus

DOI10.1214/12-AOP769zbMATH Open1285.60050arXiv1105.4841MaRDI QIDQ359692FDOQ359692

David Nualart, Daniel Harnett

Publication date: 22 August 2013

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: The purpose of this paper is to establish the convergence in law of the sequence of "midpoint" Riemann sums for a stochastic process of the form f'(W), where W is a Gaussian process whose covariance function satisfies some technical conditions. As a consequence we derive a change-of-variable formula in law with a second order correction term which is an It^{o} integral of f(W) with respect to a Gaussian martingale independent of W. The proof of the convergence in law is based on the techniques of Malliavin calculus and uses a central limit theorem for q-fold Skorohod integrals, which is a multi-dimensional extension of a result proved by Nourdin and Nualart [J. Theoret. Probab. 23 (2010) 39-64]. The results proved in this paper are generalizations of previous work by Swanson [Ann. Probab. 35 (2007) 2122-2159] and Nourdin and R'{e}veillac [Ann. Probab. 37 (2009) 2200-2230], who found a similar formula for two particular types of bifractional Brownian motion. We provide three examples of Gaussian processes W that meet the necessary covariance bounds. The first one is the bifractional Brownian motion with parameters $Hle1/2$, HK=1/4. The others are Gaussian processes recently studied by Swanson [Probab. Theory Related Fields 138 (2007) 269-304], [Ann. Probab. 35 (2007) 2122-2159] in connection with the fluctuation of empirical quantiles of independent Brownian motion. In the first example the Gaussian martingale is a Brownian motion, and expressions are given for the other examples.

Full work available at URL: https://arxiv.org/abs/1105.4841

zbMATH Keywords

Malliavin calculuscentral limit theorembifractional Brownian motion[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=It%EF%BF%BD%EF%BF%BD+formula&go=Go It�� formula]iterated integralSkorokhod integral

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Sample path properties (60G17) Stochastic integrals (60H05)

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Cited In (11)

• Approximation solution of nonlinear Stratonovich Volterra integral equations by applying modification of hat functions
• Quantitative stable limit theorems on the Wiener space
• Weak convergence of the Stratonovich integral with respect to a class of Gaussian processes
• Central limit theorems for multiple Skorokhod integrals
• Stable limit theorems on the Poisson space
• Weak symmetric integrals with respect to the fractional Brownian motion
• Asymptotic expansion of Skorohod integrals
• On Simpson's rule and fractional Brownian motion with \(H = 1/10\)
• Central limit theorem for functionals of a generalized self-similar Gaussian process
• Symmetric stochastic integrals with respect to a class of self-similar Gaussian processes
• Discrete rough paths and limit theorems

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